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Speculation Under the Random Walk Hypothesis

โœ Scribed by Martin J. Beckmann


Book ID
108555041
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
77 KB
Volume
7
Category
Article
ISSN
1361-374X

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๐Ÿ“œ SIMILAR VOLUMES


Random walk hypothesis in exchange rate
โœ Chia-Shang J. Chu; Hsin-Min Lu ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 203 KB

## Abstract An econometric model for exchange rate based on the behavior of dynamic international asset allocation is considered. The capital movement intensity index is constructed from the adjustment of a fully hedged international portfolio. Including this index as an additional explanatory vari

Testing the random walk hypothesis for r
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This paper tests the random walk hypothesis for the log-dierenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test, Durlauf's (1991) spectral domain tests and Andrews and Ploberger's (1996) optimal tests. The variance ratio test is calculated by u